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Usually there is something like "Additional Information", asuming you tried to create the linked server using the UI via Management Studio. Maybe you can post the details of the error.
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Bernhard KircherFeb 7 '12 at 19:39

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There is no SQL Server 2003 version - there are versions 6.5, 7, 2000, 2005, 2008, 2008 R2 and soon 2012. So what is your "old" SQL Server instance really??
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marc_sFeb 7 '12 at 21:35